Algo Type
ArrivalPrice
Algo Symbol
SIM:NQU3
Algo CQG Symbol
ENQ
Date - Time
Buy / Sell
Sell
Quantity
25
Arrival Price
15352.0000
Average Total
15352.2000
Destination Price
15352.5000
Slippage
-0.2000
Slippage Sweep
-1.0700
Sweep to Fill
15351.1300
Algo Diagnostics
{ "customState": { "init_vol_normal": { "asDouble": 160.7120811920992 }, "last_tactical_qty": { "asInt32": 1 }, "init_opt_t_minutes": { "asDouble": 0.26514522808193003 }, "init_liq_cost": { "asDouble": 21.75 }, "worst_opt_t_minutes": { "asDouble": 0 }, "slip_toler": { "asDouble": 0 }, "impact_model": { "asInt32": 0 }, "curr_half_min_move": { "asDouble": 0.4595062638895565 }, "curr_cost_per_share": { "asDouble": 0.7631578947368421 }, "init_cost_per_share": { "asDouble": 0.87 }, "slippage": { "asDouble": -0.20000000000254659 }, "drift": { "asDouble": -0.056250883485756985 }, "curr_opt_t_minutes": { "asDouble": 2.556378145465618 }, "pov_agg_limit": { "asInt32": 0 }, "mbo_max": { "asInt32": 1 }, "sweep_residual": { "asDouble": 0 }, "destination_price": { "asDouble": 15352.499999999998 }, "total_dollar": { "asDouble": 383805 }, "algo_status": { "asInt32": 4 }, "order_time_minutes": { "asDouble": 10 }, "total_sent": { "asInt32": 25 }, "ready": { "asBool": true }, "level_tactical_limit": { "asInt32": 0 }, "seconds_spent": { "asDouble": 463 }, "total_vol": { "asDouble": 160.7120811920992 }, "total_filled": { "asInt32": 25 }, "init_drift": { "asDouble": 0 }, "curr_liq_cost": { "asDouble": 14.5 }, "arrival_price": { "asDouble": 15351.999999999998 }, "avg_total": { "asDouble": 15352.2 }, "daily_vol_normal": { "asDouble": 43.70816925826633 }, "last_aggressive_qty": { "asInt32": 5 }, "slippage_sweep": { "asDouble": -1.070000000003347 }, "total_drift": { "asDouble": -6.00586816196127 }, "economic_model": { "asInt32": 0 }, "n_kids": { "asInt32": 14 }, "init_min_duration": { "asDouble": 0 }, "has_mbo": { "asBool": true }, "mbo_min": { "asInt32": 1 }, "model_size": { "asDouble": 5 }, "sweep_to_fill": { "asDouble": 15351.129999999997 }, "init_half_min_move": { "asDouble": 1.6895744947388749 } } }
Source URL
Optimistic
Computed diagnostics AP
algo_status: 4<br />arrival_price: 15352<br />avg_total: 15352.2<br />curr_cost_per_share: 0.76315789473684<br />curr_half_min_move: 0.45950626388956<br />curr_liq_cost: 14.5<br />curr_opt_t_minutes: 2.5563781454656<br />daily_vol_normal: 43.708169258266<br />destination_price: 15352.5<br />drift: -0.056250883485757<br />economic_model: 0<br />has_mbo: 1<br />impact_model: 0<br />init_cost_per_share: 0.87<br />init_drift: 0<br />init_half_min_move: 1.6895744947389<br />init_liq_cost: 21.75<br />init_min_duration: 0<br />init_opt_t_minutes: 0.26514522808193<br />init_vol_normal: 160.7120811921<br />last_aggressive_qty: 5<br />last_tactical_qty: 1<br />level_tactical_limit: 0<br />mbo_max: 1<br />mbo_min: 1<br />model_size: 5<br />n_kids: 14<br />order_time_minutes: 10<br />pov_agg_limit: 0<br />ready: 1<br />seconds_spent: 463<br />slip_toler: 0<br />slippage: -0.20000000000255<br />slippage_sweep: -1.0700000000033<br />sweep_residual: 0<br />sweep_to_fill: 15351.13<br />total_dollar: 383805<br />total_drift: -6.0058681619613<br />total_filled: 25<br />total_sent: 25<br />total_vol: 160.7120811921<br />worst_opt_t_minutes: 0
Computed diagnostics VWAP
aggressive_pct: <br />algo_status: 4<br />arrival_price: 15352<br />avg_total: 15352.2<br />destination_price: 15352.5<br />market_vwap: <br />n_kids: 14<br />slippage: -0.20000000000255<br />slippage_vwap: <br />slippage_vwap_pct: <br />total_dollar: 383805<br />total_filled: 25<br />total_sent: 25
Computed Average Total
15352.2000
Computed VWAP Slippage
0.00
Computed Fills Array AP
Computed Fills Array VWAP
Computed Total Filled
25.00
Algo Model